Arqaam Capital UK Investment Management Limited, which launched the Arqaam Global Macro Fund (AGMF)* on March 1 2017, pursues an eclectic, multi-strategy approach that capitalises on Chief Investment Officer Areski Iberrakene’s 20-year track record managing global trading teams and proprietary trading desks at investment banks. AGMF aims to capture multiple risk premia, and other market inefficiencies, covering in broad terms three strategies: Risk Premia, Relative Value and Tail Risk – with a current concentration across Equities, FX and Commodities. The manager has sought to combine strategies that are not merely lowly correlated – but many which have historically been negatively correlated – to obtain the holy grail of hedge fund investing: an ‘all weather’ return profile that is itself lowly correlated to conventional asset classes.
The objective is to deliver returns around 12% with volatility below 8%, equating to a Sharpe ratio of near 1.5 at current levels of interest rates. This is no mean feat as none of the major hedge fund strategy indices have sustained such levels of risk-adjusted returns through a full cycle or a multi-year period. Yet the AGMF strategy has attained its targeted risk-adjusted returns during the running of a recorded paper portfolio and benchmark portfolio. An independent third party recorded 6,000 hypothetical trades, generating annualised returns of 10.55% with annualised volatility of 3.43% between July 2013 and February 2017. The first 22 months of this track record were validated by an audit firm while the next 22 months used AGMF’s systematic models.